Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0651 |
| Annualized Std Dev | 0.2570 |
| Annualized Sharpe (Rf=0%) | 0.2534 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3367.0000 |
| NAs | 1.0000 |
| Minimum | -0.1178 |
| Quartile 1 | -0.0060 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1086 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | -0.4440 |
| Kurtosis | 9.1998 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.6425 |
| Historical VaR (95%) | -0.0234 |
| Historical ES (95%) | -0.0397 |
| Modified VaR (95%) | -0.0252 |
| Modified ES (95%) | -0.0495 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-08 | 2009-03-06 | 2011-03-31 | -0.6425 | 859 | 344 | 515 |
| 2018-01-29 | 2020-03-23 | 2021-01-06 | -0.4784 | 738 | 540 | 198 |
| 2015-04-16 | 2016-01-20 | 2016-11-22 | -0.2744 | 407 | 193 | 214 |
| 2011-05-11 | 2011-10-03 | 2012-02-03 | -0.2460 | 186 | 101 | 85 |
| 2012-03-27 | 2012-06-04 | 2012-09-13 | -0.1442 | 119 | 48 | 71 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 2.3 | 1.7 | -2.1 | 0.3 | 1.3 | -2.2 | 1.1 | -0.2 | 2.2 |
| 2008 | 0.9 | -3.2 | -3.7 | 0.7 | 1.5 | -1.1 | 0.4 | -0.5 | 2.6 | 5 | -8.6 | 4.3 | -2.4 |
| 2009 | -3.7 | -2.9 | 1.4 | 1.2 | 5.5 | 2 | -0.2 | -1.7 | -2.2 | -2.4 | 1.5 | -0.9 | -2.7 |
| 2010 | 0.9 | 1.6 | 0.3 | -1.9 | -1.7 | -1.6 | -0.2 | -0.5 | 0.1 | -0.5 | 2.3 | -0.2 | -1.5 |
| 2011 | 1.7 | -1.3 | 0.7 | 0.1 | -1.9 | 1.6 | -0.6 | -1.9 | -1.8 | -3.5 | -0.6 | -0.3 | -7.7 |
| 2012 | 1.8 | 0.7 | 0.1 | 0.7 | -3.1 | 4 | -0.5 | 0.6 | 0 | 1.8 | 0.1 | 1.3 | 7.4 |
| 2013 | 0.6 | -0.4 | -0.8 | -1.3 | -0.6 | 0.5 | 1.7 | -0.8 | 1 | 0 | -0.1 | 0.2 | -0.2 |
| 2014 | -0.8 | 0.3 | 0.6 | 0 | 0 | 0.5 | -0.3 | 0.3 | -1.3 | 1.4 | -1.4 | -1 | -1.6 |
| 2015 | -0.9 | -0.1 | 0 | 0.7 | -0.4 | 0 | -0.2 | -3 | -0.5 | 0.4 | 0.8 | -0.8 | -4.1 |
| 2016 | -0.2 | 1.8 | -0.1 | -0.7 | 0.2 | 0.5 | -0.9 | -0.2 | 1.5 | -0.8 | -0.1 | -0.2 | 0.8 |
| 2017 | 0 | 1.1 | 0.3 | -0.1 | 1.5 | 0.7 | 0.1 | 0.7 | 0.1 | 0.2 | -0.5 | 0 | 4.2 |
| 2018 | -0.3 | -2.1 | 1.2 | -0.1 | 0.5 | 0.5 | -0.8 | -0.2 | -0.6 | 1.6 | -0.3 | 0.1 | -0.7 |
| 2019 | 0.5 | 0.7 | 1.3 | -0.7 | -1.7 | 0.5 | -2.3 | 0 | -2.4 | 1.6 | -0.7 | 0.3 | -3 |
| 2020 | -2.2 | -1.7 | -5.3 | -5.7 | 2 | -1.7 | -0.8 | 0 | 0.7 | -0.2 | 1.6 | 0.5 | -12.4 |
| 2021 | 2.3 | 2 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-11 30.0 SPY 151. 0.0086 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 0.0068 -0.0255
2 2007-05-23 30.6 SPY 152. 0.0001 0.0055 0.0292 0.045 0.209 0.391 0.402 GLD 65.5 0.0049 -0.0009
3 2007-05-25 30.1 SPY 152. 0.0042 -0.0061 0.0136 0.0449 0.202 0.376 0.378 GLD 64.9 0.00290 -0.0089
4 2007-06-01 30.8 SPY 154. 0.005 0.02 0.0304 0.111 0.208 0.365 0.44 GLD 66.4 0.0137 0.0261
5 2007-06-04 30.8 SPY 154. 0.0001 0.0159 0.0249 0.122 0.197 0.367 0.437 GLD 66.5 0.0015 0.0246
6 2007-06-08 30.0 SPY 151. 0.013 -0.0197 -0.0008 0.0729 0.200 0.317 0.460 GLD 64.2 -0.0159 -0.0334
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
